SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Tails, Fears and Risk Premia
16 references·4 citing·38 second hop
Tails, Fears and Risk Premia (2009)Tails, Fears and Risk PremiaExpected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Modelling Extremal Events (1997)Modelling Extremal EventsEmpirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Implied Binomial Trees (1994)Implied Binomial TreesDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.What Is the Expected Return on the Market? (2016)What Is the Expected Return o…Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period (2010)The Behavior of Risk and Mark…Stochastic volatility and DSGE models (2010)Stochastic volatility and DSG…The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Analysis of Financial Time Series (2006)A long memory property of stock market returns and a new model (1993)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)An equilibrium characterization of the term structure (1977)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1994Implied Binomial Trees1,749 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • Cited by

    • 2012Financial Risk Measurement for Financial Risk Management43 cited
    • 2010The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period33 cited
    • 2016What Is the Expected Return on the Market?30 cited
    • 2010Stochastic volatility and DSGE models15 cited